A Monte Carlo procedure for checking identification in DSGE models

B-Tier
Journal: Journal of Economic Dynamics and Control
Year: 2017
Volume: 76
Issue: C
Pages: 202-210

Authors (4)

Le, Vo Phuong Mai (Cardiff University) Meenagh, David (Cardiff University) Minford, Patrick (not in RePEc) Wickens, Michael (not in RePEc)

Score contribution per author:

0.503 = (α=2.01 / 4 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

We propose a numerical method, based on indirect inference, for checking the identification of a DSGE model. Monte Carlo samples are generated from the model’s true structural parameters and a VAR approximation to the reduced form estimated for each sample. We then search for a different set of structural parameters that could potentially also generate these VAR parameters. If we can find such a set, the model is not identified. The test is both an alternative to using the rank condition and also can establish whether there is empirically weak identification.

Technical Details

RePEc Handle
repec:eee:dyncon:v:76:y:2017:i:c:p:202-210
Journal Field
Macro
Author Count
4
Added to Database
2026-01-25